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系統識別號 U0026-2007201823015500
論文名稱(中文) 檢驗剩餘利益評價模型對於橫斷面股票報酬預測能力
論文名稱(英文) Testing the Validity of Residual Income Valuation Model in Predicting Cross-sectional Stock Returns
校院名稱 成功大學
系所名稱(中) 財務金融研究所碩士在職專班
系所名稱(英) Graduate Institute of Finance (on the job class)
學年度 106
學期 2
出版年 107
研究生(中文) 蔡惠琴
研究生(英文) Hui-Chin Tsai
學號 R87051095
學位類別 碩士
語文別 中文
論文頁數 43頁
口試委員 指導教授-周庭楷
口試委員-顏盟峯
口試委員-梁少懷
中文關鍵字 剩餘利益評價模型  公司真實價值  盈餘預測  投資組合 
英文關鍵字 Residual income valuation model  Intrinsic value  Earnings forecast  Portfolio 
學科別分類
中文摘要 本研究以Frankel and Lee(1998)提出的剩餘利益評價模型(Residual Income Valuation Model,RIVM)為基礎,搭配Hou et al.(2012)公司基本面盈餘預測模型,額外將存貨、毛利率、銷管費用及資產周轉率變動等4項盈餘品質訊號,納入盈餘預測模型之解釋變數予以延伸運用,預測公司未來盈餘,再將公司未來盈餘預測值投入RIVM,推導出公司的真實價值(intrinsic value),檢驗RIVM評價機制於臺灣股票市場適用性,並以真實價值對股票價格比值(V/P)建構投資組合,評估其股票報酬的預測能力。實證結果,RIVM評價機制適用於臺灣股票市場,RIVM估計的公司真實價值與股票價格呈高度相關,且具有股票報酬的預測能力,根據V/P值可建構出最佳的投資組合,該投資組合的報酬績效超越ETF「台灣50」的報酬績效,若再將公司財務報表的盈餘品質加入建構投資組合考量,可創造出更佳的投資報酬。
英文摘要 Based on the residual income valuation model proposed by Frankel and Lee (1998), accompanied by earnings forecast model of Hou et al. (2012), this study additional incorporates four earnings quality signals into the explanatory variables of earning forecast model for the extended use to forecast company’s future earnings. We apply the RIVM to estimate the intrinsic value to test RIVM applicability to Taiwan stock market, construct portfolio with the V/P ratio and evaluate its forecast ability in stock returns. Our results show that RIVM evaluation mechanism is applicable to Taiwan stock market and the company’s intrinsic value evaluated by RIVM is highly correlated to stock price and has the forecast ability in stock returns. The optimum portfolio can be constructed according to V/P ratio and the return performance of this portfolio exceeds that of ETF 0050. If the earnings quality of the company’s financial statements is added to construct the portfolio, it can create the better return on investment.
論文目次 第一章 緒論 1
第二章 文獻探討 4
第一節 剩餘利益評價模型文獻回顧 4
第二節 盈餘預測之問題討論 6
第三章 研究設計與方法 8
第一節 剩餘利益評價模型 8
第二節 盈餘預測模型及修正 11
第三節 模型實作說明 13
第四節 資料來源與樣本選取 15
第四章 實證結果與分析 17
第一節 預估公司未來盈餘 17
第二節 估計公司真實價值 21
第三節 建構投資組合及預測股票報酬 23
第四節 財務報表盈餘品質效益 28
第五節 額外測試 33
第五章 結論 38
第一節 研究結論 38
第二節 研究限制與建議 39
參考文獻 41
參考文獻 一、中文部分
石國芬,2017,「Frankel and Lee (1998)股票剩餘利益理論在台灣市場適用性評估」,成功大學財務金融研究所在職專班碩士論文。
沈寧衛,2002,「產業股價與報酬之研究-會計基礎評價模式之應用」,中山大學財務管理學系在職專班碩士論文。
連崇傑,2013,「會計基值分析與股價報酬預測-以台灣上市公司為例」,台灣大學碩士論文。
郭貞吟,2010,「剩餘所得適用於股票評價嗎?-台股的實證研究」,全球商業經營管理學報第2期:55-64頁。
二、英文部分
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